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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 1994 Volume 216, Pages 62–75 (Mi znsl5946)

This article is cited in 3 papers

Increasing permutations of random processes

E. E. Zhukova

Saint Petersburg State University

Abstract: The paper concerns with the application of limit theorems to the study of increasing permutations of stable random processes. By an increasing permutation of a function a non-decreasing function with the same distribution is meant.
The trajectory of a random process may be approximated by a step-function, and then the continuity of the increasing permutation operator permits to apply the Skorohod invariance principle to obtain the distribution of the random process. The distribution function and the expected value of the increasing permutation of a stable random process are given explicitly. Also the one-dimensional distribution of the increasing permutation of the Cauchy process is obtained.
In various normed spaces the images of unit balls with respect to the operator of increasing permutation are determined. A separate section is devoted to the increasing permutations of higher dimensional processes. Bibliography: 5 titles.

UDC: 519.2

Received: 11.11.1993


 English version:
Journal of Mathematical Sciences (New York), 1998, 88:1, 43–52

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